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oMMcpn_Price( ) Example

Description

On June 3 2003, a T-bill with a $100,000 face value matures in 90 days (maturity date is September 1 2003). The accrual basis is actual/360. If the current price is $98.50, then the yield is calculated as follows:

 

 

Function Specification

=oMMdisc_Yield(98.50, 1, "3/6/03", "1/9/03", 100000, 1, 0)

 

 

Solution

The yield of the instrument is calculated using the money market pricing formula:


Equation Template

where:
DP = $98,500
DIP = 90 (1/9/03 - 3/6/03)
DIY = 360

and where the maturity proceeds is instrument's face value.

 

 

 

The following results are obtained from setting the output flag to 0.

Yield

0.0609137

Dollar Discount

1500.0000

Days to Maturity

90

Macaulay Duration

0.250000

Modified Duration

0.246250

Convexity

0.121278

Price Value of a Basis Point

24.25563

 

 

For further details on how the above prices and statistics are calculated, see the money market formula.

 

 

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